Although I abbreviated it here, the full path as shown in the actual error message was correct.The connection to the data source "mydb_wizard" could not be established. The driver class 'org.hsqldb.jdbcDriver' could not be loaded.The additional driver class path is 'file:///C:/Users ... /hsqldb.jar'.
The tutorial didn't really say anything about unzipping the file downloaded by clicking on the hsqldb.jar link. But it didn't work with the zip extension (at first I didn't even notice that the downloaded file had a .zip extension!) and (after I saw that it had a .zip extension) it still didn't work after unzipping it to get rid of the zip extension. So finally I just deleted the .zip extension and opened mydb_wizard.odb. The Tables appeared as they should.
Perhaps the tutorial should be edited to make it clear the hsqldb.jar.zip has to be renamed hsqldb.jar.